If i win a Military Challenge with Ghost, and my oponent used A lannister pay its debts an try to kill Ghost, can i saved Ghost returning him to my hand? so the other player waste his event card? or he just chooses another target?

Have a look at the flowcharts in the FAQ. ALPHD resolves as a response in step 5 of the framework action window where the challenge winner is determined etc. Triggering Ghost's ability is a player action, so you would have to trigger it before challenge resolution started; in that case he's back in your hand way before ALPHD even hits the table. If you waited for challenge resolution to begin, and if he's hit by ALPHD, then he's on your dead pile before you have a chance to trigger his ability in the next player action window.